Successor

The first bundle of cat bonds issues by Swiss Re as part of their Successor series of transactions.

Swiss Re has obtained $950 million worth of protection against North Atlantic Hurricanes, Europe Windstorms, Californian Earthquakes and Japan Earthquakes through a natural catastrophe protection program named “Successor”, a follow-up vehicle to its “PIONEER” and “Arbor” programs.

The program addresses North Atlantic Hurricane, European Windstorm,California Earthquake and Japanese Earthquake.

Four SPV’s were used, one for each type of risk: Successor Hurricane Industry Ltd (covering north atlantic hurricanes), Successor Hurricane Modeled Ltd (also north atlantic hurricanes), Successor European Wind Ltd (covering european windstorms), Successor Japan Quake Ltd (covering Japanese earthquakes) and Successor Cal Quake Ltd (covering Californian earthquakes). Also there are Successor I, II, III & IV which cover multiple peril tranches.

SPV and tranche details:

Successor Hurricane Industry Ltd:

Series 1 – Class B $14m U.S. hurricane, industry loss trigger. Class C $7,25m U.S. hurricane, industry loss trigger. Class D $34.25m U.S. hurricane, industry loss trigger. Class E $5m U.S. hurricane, industry loss trigger. Class F $54m U.S. hurricane, industry loss trigger.
Series 2 – Class D $10.25m U.S. hurricane, industry loss trigger. Class E $35m U.S. hurricane, industry loss trigger.

Successor Hurricane Modelled Ltd:

Series 1 – Class B $42.25m U.S. hurricane, modelled loss trigger.

Successor Japan Quake Ltd:

Series 1 – Class A $103.47m Japan quake, modelled loss trigger.Class B $26.25m Japan quake, modelled loss trigger.
Series 2 – Class C $3m + $70.75m Japan quake, modelled loss tigger.

Successor Euro Wind Ltd:

Series 1 – Class A $97.13m Euro wind, parametric index trigger. Class B $18.5m Euro wind, parametric index trigger. Class C $110.75m Euro wind, parametric index trigger.
Series 2 – Class A $3m Euro wind, parametric index trigger. Class C $3m Euro wind, parametric index trigger.

Successor CalQuake Parametric Ltd:

Series 1 – Class A $47.5m U.S. quake, parametric index trigger.

Successor II Ltd:

Series 1 – Class A $73.2m U.S. hurricane, U.S. earthquake, Japan earthquake, European windstorm, multiple trigger types. Class E $154.25m U.S. hurricane, U.S. earthquake, Japan earthquake, European windstorm, multiple trigger types.

Successor III Ltd:

Series 1 – Class A $7.2m U.S. hurricane, U.S. earthquake, Japan earthquake, European windstorm, multiple trigger types.

Successor IV Ltd:

Series 1 – Class A $30m U.S. hurricane, U.S. earthquake, Japan earthquake, European windstorm, multiple trigger types.